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Bayesian Inference for the Multivariate Skew-t Model

Antonio Parisi, Brunero Liseo

Last update: 5 December 2023

Copyright license: GNU General Public License, version 3.0

Software version identifier: 1.0.1, 1.0, 1.1.0, 1.1.1

Description

Estimates the multivariate skew-t and nested models, as described in the articles Liseo, B., Parisi, A. (2013). Bayesian inference for the multivariate skew-normal model: a population Monte Carlo approach. Comput. Statist. Data Anal. <doi:10.1016/j.csda.2013.02.007> and in Parisi, A., Liseo, B. (2017). Objective Bayesian analysis for the multivariate skew-t model. Statistical Methods & Applications <doi:10.1007/s10260-017-0404-0>.

Cites work

• Objective Bayesian analysis for the multivariate skew-\(t\) model
• Bayesian inference for the multivariate skew-normal model: a population Monte Carlo approach

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